On a measure of lack of fit in time series models

By G. Ljung, G. Box. 1978

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Citations in the corpus

On the inefficiency of Bitcoin (2017, methodology): “We have used eight different tests: Ljung-Box test for no autocorrelation; runs test for independence; Bartel’s test for independence; wild-bootstrapped automatic variance ratio test for the random walk hypothesis; spectral shape tests for the random walk hypothesis; BDS test that the returns are in”
Improved multivariate portmanteau test (2012, methodology): “2012, 33 211–222 2 1 2 In the portmanteau tests based on the asymptotic distribution (Ljung and Box, 1978; Peňa and Rodrı́guez, 2002, 2006) not only is the size of the test inaccurate if the series length n is not large enough but there is also a problem if m, the number of lags, is not large enoug”
Internet exchanges for used goods: an empirical analysis of trade patterns and adverse selection 1 (2009, unknown): “Further, regressions of sale prices on polynomials in lagged list prices reject serial correlation in residuals that use the Box-Pierce-Lung statistic (Ljung and Box 1978).”
Evaluating Models of Autoregressive Conditional Duration (2006, methodology): “In the ACD literature it is common to evaluate the properties of standardized durations resulting from the estimation of an ACD model using Ljung-Box or McLeod-Li tests (see Ljung and Box (1978) and McLeod and Li (1983), respectively).”
A War on Cops? The Effects of Ferguson on the Number of U.S. Police Officers Murdered in the Line of Duty (2017, methodology): “This finding was based on visual inspection of the autocorrelation plots and the Ljung–Box Q-statistics as well as findings from the Durbin–Watson and Breusch–Godfrey LM tests (Breusch, 1978; Durbin & Watson, 1950; Godfrey, 1978; Ljung & Box, 1978).”
Adaptive epileptic seizure prediction system (2003, methodology): “This test was later refined by Ljung and Box [30], who showed that, if is a 60-point white noise sequence, then Fig.”
Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2011, methodology): “The tests widely used in empirical applications include the portmanteau test (Ljung and Box, 1978) and variance ratio test (Lo and MacKinlay, 1988), which are based on the linear measures of dependence.”